On the dependence induced by frequency credibility models

In casualty insurance, actuaries usually resort to random effects to take unexplained heterogeneity into account in the spirit of the Bühlmann-Straub model. This paper aims to study the kind of dependence induced by the introduction of common latent variables in the annual numbers of claims reported by policyholders. It will be seen that this classical construction entails strong positive dependence between the underlying random variables.

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Document type	Article de périodique (Journal article)
Publication date	2002
Language	Anglais
Journal information	"Belgian Actuarial Bulletin" - Vol. 2, no. 1, p. 73-79 (2002)
Peer reviewed	yes
Publisher	Institute of Actuaries in Belgium (Bruxelles)
issn	1784-5742
e-issn	1784-5750
Publication status	Publié
Affiliation	UCL - EUEN/STAT - Institut de statistique
Links	http://hdl.handle.net/2078.1/105358[Handle]

See also
	[boreal:114604]	On the dependence induced by frequency credibility models - 1 : Time-invariant random effects
	[boreal:114600]	On the dependence induced by frequency credibility models - 2 : Dynamic random effects